A new numerical method on American option pricing
文献类型：期刊论文
| 作者 | Gu, YG; Shu, JW; Deng, XT; Zheng, WM |
| 刊名 | SCIENCE IN CHINA SERIES F
 |
| 出版日期 | 2002-06-01 |
| 卷号 | 45期号:3页码:181-188 |
| 关键词 | American options free boundary analytic method of line finite difference method Black-Scholes equation |
| ISSN号 | 1009-2757 |
| 英文摘要 | Mathematically, the Black-Scholes model of American option pricing is a free boundary problem of partial differential equation. It is well known that this model is a nonlinear problem, and it has no closed form solution. We can only obtain an approximate solution by numerical method, but the precision and stability are hard to control, because the singularity at the exercise boundary near expiration date has a great effect on precision and stability for numerical method. We propose a new numerical method, FDA method, to solve the American option pricing problem, which combines advantages the Semi-Analytical Method and the Front-Fixed Difference Method. Using the FDA method overcomes the difficulty resulting from the singularity at the terminal of optimal exercise boundary. A large amount of calculation shows that the FDA method is more accurate and stable than other numerical methods. |
| WOS研究方向 | Computer Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000180416600003 |
| 出版者 | SCIENCE CHINA PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/17792]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Shu, JW |
| 作者单位 | 1.Hunan Normal Univ, Dept Math, Changsha 410081, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.Tsing Hua Univ, Dept Comp Sci & Technol, Beijing 100084, Peoples R China 4.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Gu, YG,Shu, JW,Deng, XT,et al. A new numerical method on American option pricing[J]. SCIENCE IN CHINA SERIES F,2002,45(3):181-188. |
| APA | Gu, YG,Shu, JW,Deng, XT,&Zheng, WM.(2002).A new numerical method on American option pricing.SCIENCE IN CHINA SERIES F,45(3),181-188. |
| MLA | Gu, YG,et al."A new numerical method on American option pricing".SCIENCE IN CHINA SERIES F 45.3(2002):181-188. |
入库方式： OAI收割
来源：数学与系统科学研究院
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